Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2747
Annualized Std Dev 0.4366
Annualized Sharpe (Rf=0%) -0.6292

Row

Daily Return Statistics

Close
Observations 2949.0000
NAs 1.0000
Minimum -0.1775
Quartile 1 -0.0144
Median -0.0015
Arithmetic Mean -0.0009
Geometric Mean -0.0013
Quartile 3 0.0107
Maximum 0.2365
SE Mean 0.0005
LCL Mean (0.95) -0.0019
UCL Mean (0.95) 0.0001
Variance 0.0008
Stdev 0.0275
Skewness 0.7517
Kurtosis 9.4752

Downside Risk

Close
Semi Deviation 0.0184
Gain Deviation 0.0225
Loss Deviation 0.0183
Downside Deviation (MAR=210%) 0.0236
Downside Deviation (Rf=0%) 0.0188
Downside Deviation (0%) 0.0188
Maximum Drawdown 0.9791
Historical VaR (95%) -0.0404
Historical ES (95%) -0.0614
Modified VaR (95%) -0.0347
Modified ES (95%) -0.0347
From Trough To Depth Length To Trough Recovery
2009-07-09 2021-03-17 NA -0.9791 2938 2935 NA
2009-06-23 2009-07-01 2009-07-07 -0.0936 10 7 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA -3 -2.8 5.4 4.5 6.8 -5 -0.5 4.9
2010 -4.2 -0.8 -3.7 2.8 2.5 -4.1 0.4 -8.3 -2.6 1.3 -6.5 -1.8 -22.9
2011 -4.8 3.4 -2.6 -0.7 5.2 -2 3.4 2.8 7.8 8.2 1.8 -0.9 22.9
2012 -4.1 -2.6 -2 -1.7 4.5 -8.8 -0.3 -2.2 -2 -2.3 -0.3 -3.6 -23.2
2013 -2.3 0.9 1.1 1.3 3.9 -2.2 -2.1 1.8 -1.1 1.3 -1 -0.8 0.6
2014 2.8 -1 -1.6 -0.3 -0.2 -1.7 1.7 0 2 -2.2 -0.2 1.5 0.7
2015 3.4 -0.4 -1.7 -1.6 1.2 -1.1 -1.2 5.4 0 0 -1.3 2.8 5.3
2016 -0.2 -5.5 1.5 0.5 0.3 -0.4 2 -1.5 -2.3 0.8 0.3 -0.8 -5.2
2017 -0.6 -2.1 -0.4 -0.9 -1.3 -0.1 -1.6 -0.5 -1.8 0.1 0.7 0 -8.3
2018 -0.2 2.1 -1.2 1.1 -1.5 -2.5 1.3 1.9 -0.3 -3.1 1.2 -1 -2.4
2019 0.3 -1.4 -2.3 1.3 1.3 -0.7 0.6 -0.9 2 -1.4 1.1 -0.8 -1
2020 3 2 8.9 4.8 -3.8 -0.4 4.7 1 -1.5 0.8 -4.9 1.8 16.7
2021 -2.5 -3.5 0 NA NA NA NA NA NA NA NA NA -6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-06-19  624  SPY    92.0  0.0037  -0.0265   0.0226   0.207    -0.311   -0.252   -0.185 GLD    91.9  0.0032  -0.00290
2 2009-06-22  665. SPY    89.3 -0.03    -0.039    0.0008   0.0859   -0.322   -0.280   -0.211 GLD    90.5 -0.0148  -0.0061 
3 2009-06-23  649. SPY    89.4  0.0008  -0.025    0.0037   0.109    -0.320   -0.285   -0.215 GLD    90.9  0.0042  -0.011  
4 2009-06-24  646. SPY    90.1  0.0086  -0.0156  -0.0129   0.106    -0.313   -0.276   -0.215 GLD    91.4  0.00580 -0.0097 
5 2009-06-25  629. SPY    92.1  0.0218  -0.0015   0.0269   0.108    -0.301   -0.26    -0.195 GLD    92.3  0.0094   0.0076 
6 2009-06-26  632. SPY    91.8 -0.0026  -0.0022   0.0101   0.125    -0.284   -0.265   -0.193 GLD    92.3 -0.0002   0.0042 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart